Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.1029
Annualized Std Dev 0.4314
Annualized Sharpe (Rf=0%) -0.2386

Row

Daily Return Statistics

Close
Observations 3710.0000
NAs 1.0000
Minimum -0.3372
Quartile 1 -0.0137
Median 0.0000
Arithmetic Mean -0.0001
Geometric Mean -0.0004
Quartile 3 0.0140
Maximum 0.1955
SE Mean 0.0004
LCL Mean (0.95) -0.0009
UCL Mean (0.95) 0.0008
Variance 0.0007
Stdev 0.0272
Skewness -0.4466
Kurtosis 11.2299

Downside Risk

Close
Semi Deviation 0.0196
Gain Deviation 0.0189
Loss Deviation 0.0203
Downside Deviation (MAR=210%) 0.0241
Downside Deviation (Rf=0%) 0.0196
Downside Deviation (0%) 0.0196
Maximum Drawdown 0.9613
Historical VaR (95%) -0.0404
Historical ES (95%) -0.0628
Modified VaR (95%) -0.0419
Modified ES (95%) -0.0785
From Trough To Depth Length To Trough Recovery
2008-06-24 2020-03-18 NA -0.9613 3208 2954 NA
2006-07-05 2006-10-03 2006-12-14 -0.2052 115 64 51
2008-01-04 2008-02-06 2008-04-14 -0.1798 69 23 46
2006-12-15 2007-01-11 2007-03-26 -0.1567 67 17 50
2007-07-24 2007-08-16 2007-09-19 -0.1381 41 18 23

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA 2.2 1.2 2.2 0.6 -0.8 0.7 -0.9 5.3
2007 0.2 0.4 -1.3 0.8 0.4 0.3 -1 1.7 1.7 -0.8 -0.8 -1.2 0.3
2008 4.2 -3.5 1.6 -2.5 1.1 -0.2 0.4 -1.9 -4.1 -0.6 -15.5 1.7 -18.9
2009 -2.4 -1.1 1.7 2.9 4.3 0.5 1.3 -2.1 -3.2 -5.1 1.7 -0.7 -2.7
2010 3.2 1.4 2.4 -2.2 -7.3 0.6 0 4.5 0.5 0.3 3 0 6
2011 1.2 -2.1 0 1.4 -3.3 1 -0.7 -1.2 -3.9 -4.1 0.1 -0.2 -11.5
2012 1.6 1.4 0.8 1.1 -3.5 3.8 0.4 1.4 -0.2 1.9 0.8 2.8 12.8
2013 1.9 -1.4 -2.6 -1.9 -1.7 0.9 2.2 -1.4 1.3 -0.7 0.4 0.9 -2.1
2014 -0.5 1.5 0 -1.8 0 -0.2 -0.6 1.1 -2.7 1.2 -2.5 -1.1 -5.7
2015 2.3 1.6 0.8 -0.1 -0.8 -3.7 -2.5 -4.2 -1.8 1.6 0.9 0.9 -5.2
2016 -3.6 1.5 -3.2 1.8 -0.8 3.7 -4.5 -1.1 1.9 -0.1 2 0 -2.7
2017 0.2 2.8 1.3 -1.5 1.7 -0.4 -1.6 2.1 0.1 0.5 3.9 0.4 9.8
2018 1.9 0.3 2.8 -1 -0.6 0 -1.3 -0.3 1 0.5 -2.8 0.3 0.6
2019 2.8 2.3 3.5 -3.1 -2.3 0.9 -7 -1.2 -4.1 4.9 -1.7 -0.7 -6.3
2020 -3.1 2.9 -7.5 -7 0.7 -2.3 -2.2 1.9 -2.4 2.7 4.8 -0.2 -11.8
2021 1.7 5.3 0.2 NA NA NA NA NA NA NA NA NA 7.3

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart